شبیه‌سازی میکروسکوپی بازارهای مالی: از رفتار سرمایه‌گذار تا پدیده‌های بازار

Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance. Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality. Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible. Key Features \* Emphasizes investor behavior in determining asset prices and market dynamics \* Introduces Microscopic Simulation within a simplified framework \* Offers ways to model deviations from rational decision-making Microscopic Simulation (MS) uses a computer to represent and keep track of individual ("microscopic") elements in order to investigate complex systems which are analytically intractable. A methodology that was developed to solve physics problems, MS has been used to study the relation between microscopic behavior and macroscopic phenomena in systems ranging from those of atomic particles, to cars, animals, and even humans. In finance, MS can help explain, among other things, the effects of various elements of investor behavior on market dynamics and asset pricing. It is these issues in particular, and the value of an MS approach to finance in general, that are the subjects of this book. The authors not only put their work in perspective by surveying traditional economic analyses of investor behavior, but they also briefly examine the use of MS in fields other than finance.
Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. How can we determine the effect of investors' deviations from rational behavior on asset prices and market dynamics? By using Microscopic Simulation, a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically-observed "puzzles" in finance can be explained by investors' quasi-rationality.
Researchers use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here is accessible.

Key Features
* Emphasizes investor behavior in determining asset prices and market dynamics
* Introduces Microscopic Simulation within a simplified framework
* Offers ways to model deviations from rational decision-making Most models in economics and finance assume that investors are rational. However, experimental studies reveal systematic deviations from rational behavior. Microscopic simulation can determine the effect of investors' deviations from rational behavior on asset prices and market dynamics. Using a methodology originally developed by physicists for the investigation of complex systems, the authors are able to relax classical assumptions about investor behavior and to model it as empirically and experimentally observed. This rounded and judicious introduction to the application of MS in finance and economics reveals that many of the empirically observed "puzzles" in finance can be explained by investors' quasi-rationality.Researchers will use the book because it models heterogeneous investors, a group that has proven difficult to model. Being able to predict how people will invest and setting asset prices accordingly is inherently appealing, and the combination of computing power and statistical mechanics in this book makes such modeling possible. Because many finance researchers have backgrounds in physics, the material here will be accessible. Cover......Page 1 Preface......Page 2 Acknowledgments......Page 7 1 Classic Models in Finance......Page 8 2 Decision Weights, Change of Wealth, and Value Function......Page 20 3 Empirical and Experimental Evidence Regarding Preferences......Page 49 4 Inefficient Choices and Investors' Irrationality......Page 72 5 The Microscopic Simulation Method......Page 110 6 Microscopic Simulations in Various Fields......Page 127 7 The LLS Microscopic Simulation Model......Page 145 8 Various Financial Microscopic Simulations......Page 187 9 Prospect Theory, Asset Pricing, and Market Dynamics......Page 203 10 Application of Microscopic Simulation to the CAPMHeterogeneous expectations and the Number of Assets in the Portfolio......Page 231 11 Application of Microscopic Simulation to Option Pricing: Uncertainty and Disagreement About the Volatility......Page 265 Bibliography......Page 281 Index......Page 294 I give it 4 stars for being one of the only books on the topic of microsimulation/agent-based modeling in finance. The author's research is very interesting and promising. The book reviews similar microsimulation attempts by others. However, there is no guidance as to the implementation of microsimulation studies in finance. The eauations/models of finance are easily found elsewhere .... but how do you turn them into a simulation project (?)...